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A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set.
Man-Chung Yue
Yves Rychener
Daniel Kuhn
Viet Anh Nguyen
Published in:
CoRR (2024)
Keyphrases
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data sets
real time
small number
multiscale
bayesian networks
higher order
robust estimation
robust optimization